"Bad ticks"

Discussion in 'Strategy Development' started by abattia, Oct 25, 2011.

  1. I’d like to test my understanding of “bad ticks” …

    See the longest candles in yesterday’s 30-second chart for SPY (all times are EST) attached. This data was not recorded in real time, but downloaded today from eSignal. Some of these longest candles occurred during Regular Trading Hours (09h30 – 16h00 EST), some before, some after.

    Q1 - What are these very long candles (“bad ticks”)? I understand them to be trades (probably large trades, “block trades”?) made “off the exchange floor” (negotiated directly between “block dealers” and their clients?) and reported to the exchange some material time after the fact. Is this correct?

    Q2 –“Bad ticks” of the type referred to above occur in equity markets, but not in futures markets (as “block trades” of the type described above are a feature of equity rather than futures markets?). Correct?

    Q3 - What rules might one use to "clean" "bad ticks"?
  2. FGBL07


    I don't see these bad ticks. Data feed is DTN IQFeed. Does your chart look the same today?

    It's a 1-minute chart but the spikes should be visible, they aren't.

    Add 6 hours to your time to get the time in my chart.

    There are block trades in the future markets too. Exchanges offer e.g. in the Bond Markets "Exchange for Physical" that is one trader sells/buys bonds the other the corresponding future.

    You will also see a lot of them before rollover.
  3. Thanks.
    Was this data (in your chart) captured in real time, or uploaded as historical data after the fact?

    In the case of the eSignal data, I believe most of these "bad ticks" will not be present in real time; but they are present in the historical data (which therefore must be being consolidated and corrected in some way different to the real time ticks?).
  4. FGBL07


    I don't watch SPY so I downloaded it today "After the fact".

    As to the bad ticks: the norm is that you see them realtime and historical data are cleaned.
  5. Many thanks. So I need to look further into DTN IQFeed!
  6. Ah, just a thought ...

    If you were to download ticks (as opposed to 1-min bars), and then build 30-sec bars from the ticks ... what do you see then?
  7. FGBL07


    There is no difference because I have opted to store all intraday data as ticks.
  8. Thanks for checking that!
  9. Found the following for cleaning bad ticks:


    Must be an ETer, as has used my screenshot from above!
  10. look at the details of the data subscription, are you buying "clean" or "raw" data?

    if a broker on the floor makes a trade but it doesn't get entered until later it can show up as a "bad tick" as you describe.

    Also, if someone sweeps the book there may be price improvements that come in later but the trades still hit the tape - that can also mess with your feeds.
    #10     Nov 22, 2011